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Re: st: How to test autocorrelation in the disturbance in asystem of equations?


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to test autocorrelation in the disturbance in asystem of equations?
Date   Tue, 01 Jul 2008 13:45:40 -0400

Valerie,
 If you are running reg3 and save your residuals from each equation, calling them residi, where i=the equation number,
you should be able to very simply apply and acf to them, with the command:
   ac  residi
and
pac residi
    Regards,
            Bob Yaffee


Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University


----- Original Message -----
From: Valerie Orozco <Valerie.Orozco@toulouse.inra.fr>
Date: Tuesday, July 1, 2008 11:08 am
Subject: st: How to test autocorrelation in the disturbance in a system of equations?
To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>


> Dear all,
> 
> I posted my question some days ago but have no answer. I try to 
> explain it in a better way.
> I'm estimating a system of equations (by 3SLS with "reg3") (20 equations)
> I'm wondering if a joint test for autocorrelation in the disturbance 
> exists in such simultaneous model.
> 
> I know the durbin Watson test, breush godfrey test, and ljung box test 
> to test the correlation in the disturbance of one equation (after "regress").
> Thus, in my system of equations,  I am able to test each equation 
> separately (programming the durbin Watson or ljung box formula for 
> each of all the equation). But I would like to know if there exists a 
> way to test the autocorrelation globally (i.e a joint test)
> (even if I have to program it)
> 
> If you have any idea...
> 
> Thank you very much.
> 
> valérie
> 
> -------------------------------
> Valérie OROZCO
> Toulouse School of Economics (INRA-GREMAQ)
> 21, allée de Brienne
> F-31000 Toulouse, France
> -------------------------------
> 
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